I put some of those in my control box, just drilled the hole and popped them in. I didn't worry about the flats since they hold just fine with the nut that threads onto the backside. I would humbly suggest that it's probably not worth the effort to make a hole with flats on it since the chances of the connector spinning and causing any type of problem are pretty low.
As has been suggested above, you can always make something temporary and replace it with a nice custom part once you have the CNC conversion working. That would also allow you to engrave labels into the new part for a professional finish if that's what you're going after.
Having been through enough of this process to get my machine up and running I'm sure you will have plenty of other issues to deal with that will actually make the difference between having a running system or not. Did you get your steppers yet? I posted to your other thread about stepconf probably three times but the forum issues wiped out my responses, It should be up there now.
Let me know how those settings work for you.
Cheers,
1ohn